Options-Based Benchmark Indexes: Performance, Risk and Premium

Prepared for

O p t i o n s - Based Benchmark I n d e x e s : Performance, Risk and Premium Capture (June 1986- D e c . 2 0 1 8 ) : A n U p d a t e

Wilshire Analytics

March 2019 KEY HIGHLIGHTS (PART 1)

This study analyzes performance of five option-based indexes over 32 ½ years, June 30, 1986 – Dec. 31, 2018, with comparisons to the risk and return profiles of asset classes typically found in investment portfolios of institutional and individual investors. Highlights of our findings include the following:

• Total Return: Cumulative returns for two option-writing indexes (BXMD℠ and PUT℠) exceeded those of a wide variety of asset classes over most of the 32-year period, outperforming U.S. equities in both up and down markets. (Exhibit 2)

• Returns and Risk in Sub-periods: Across various market regimes (dot-com era, Financial Crisis, low volatility bull market), option-based indexes were among the top three performing asset classes 21 times, versus 9 times for the S&P 500® Index. (Exhibits 3, 11)

• Volatility: Volatility of all five option indexes was lower than for all other asset classes studied except fixed income, while delivering competitive returns. The PUT index’s annualized volatility was 9.9% vs. 14.9% for the S&P 500. (Exhibit 4)

• Risk-adjusted Return: The BXMD index was highest on the mean/variance Efficient Frontier across all asset classes, with a higher return and lower volatility than the S&P 500. Compared to the S&P 500, all option-writing strategies had superior Sharpe ratios; the PUT index’s Sharpe ratio was 46% greater than S&P 500’s. (Exh. 4, 5)

• Positive Alpha: Option-writing index strategies delivered positive alpha in most years, with high correlations to the S&P 500. The BXMD tracked the S&P 500 closely, with an overall correlation of 0.95 and an average 0.25% of alpha annually. (Exhibits 7, 8)

• Liquidity: Average Daily Volume (notional) for S&P 500 options has more than quadrupled over the decade since the Financial Crisis, with sustained liquidity regardless of the level of market volatility levels. (Exhibit 11)

• Implied Volatility Risk Premium (IVRP): Implied volatility, as measured by the Cboe Volatility Index® (VIX®) exceeded realized volatility by at least 1% and as much as 54% in all but one of the past 21 years, rewarding option sellers. Average monthly gross premiums from writing options were fairly constant, with a small upward trend over the study period. (Exhibits 9a-9d)

• IVRP and Higher Returns: The IVRP delivered higher returns for options-selling indexes across the time horizon of this study as compared to both the option-buying index and key size- and style-based indexes.

• Drawdowns and Tail Risk: Income captured by option-selling strategies aims to enhance returns and cushion downside risk. Over the 32 years covered in this study, the option indexes’ maximum drawdowns ranged from 16% to 30% less than the S&P 500 Index’s maximum drawdown. (Exhibit 6) Option-selling indexes had fatter tails (i.e., higher kurtosis and negative skew). The options-based strategies analyzed in this study demonstrated more positive monthly returns (and fewer negative) than the S&P 500 over time. Additionally, both Sortino ratios and Stutzer index values were on par with, if not better than for the S&P 500 (Exhibit 8) as well, indicating positive risk-adjusted returns.

• Performance in Different Regimes: The 32-year period covered various “regimes” characterized by high or low returns, and high or low volatility. Except for the lengthy bull market of 2010-Q3 2018, option-writing strategies produced superior Sharpe ratios compared to the S&P 500 in all sub-periods. (Exhibit 12)

• Implications for Pension Plans: Allocating a portion of U.S. equity exposure to option-writing strategies can benefit risk/return profiles. Replacing 15% of S&P 500 exposure with BXMD or a combination of BXMD & PUT exceeded S&P 500-only monthly returns more than 50% of the time. (Exhibit 13)

• Fund Analysis: Dozens of mutual funds/ETFs employ options-based strategies. Although differences in their strategies lead to a wide range of returns across funds, most use covered call-writing, which makes their average volatility lower than the S&P 500’s. (Exhibit 14) 3 ©2019 Wilshire Associates. SPOTLIGHT ON VOLATILITY

• Throughout this presentation, we’ll investigate: – Key risk/return metrics for options-based index strategies versus the broad market, each other and other widely accepted investment approaches over time – Critical relationship between implied and realized volatility • What is volatility? – Synonymous with risk, volatility measures fluctuations – either expected (implied) or realized (historical) - in price • Option overlay strategies commonly provide exposure to two risk premiums – Equity risk and (implied) volatility • IVRP (Implied Volatility Risk Premium) – The notion that historically, implied volatility for index options often exceeds subsequent realized volatility; and, as a result, sellers hope to secure strong risk-adjusted returns by capitalizing on the discrepancy – Is well documented in the institutional investment community – Transfers risk from options buyers to sellers and is a potential source of portfolio diversification – Is driven primarily by diverging investor bias and supply/demand imbalances • Traditional volatility risk factor for stocks (more accurately refers to ‘low volatility’, i.e., an equity risk factor which aims to capture excess returns from stocks with lower than average volatility) is different than the IVRP covered in this presentation • Selling volatility can be a fruitful investment strategy, is similar to selling insurance and susceptible to underperformance in rising markets; use should be sized thoughtfully, with investment goals in mind

TICKER* DESCRIPTION

Cboe S&P 500 BuyWrite Index. Strategy that purchases stocks in the S&P 500 index and each month sells at- BXM℠ the-money SPX index call options.

Cboe S&P 500 30-Delta BuyWrite Index. Covered call strategy that holds a long position indexed to the S&P 500 BXMD Index and sells monthly 30-delta out-of-the-money SPX index call options.

Cboe S&P 500 Covered Combo Index. Strategy sells a monthly at-the-money (ATM) SPX put option and a monthly 2% out-of-the-money (OTM) SPX call option. The short SPX put position is collateralized by a money CMBO℠ market account invested in Treasury bills and the 2% OTM SPX call is collateralized by the long SPX Index position.

Cboe S&P 500 5% Put Protection Index. Strategy that holds a long position indexed to the S&P 500 Index and PPUT℠ buys a monthly 5% out-of-the-money SPX put option as a hedge.

Cboe S&P 500 PutWrite Index. Strategy that purchases Treasury bills and sells cash-secured at-the-money put PUT options on the S&P 500 Index.

*Unless otherwise noted, all indexes used in this presentation are Total Return indexes (return includes price change + dividends/interest).

Visit www.cboe.com/benchmarks to see full descriptions of methodologies of these indexes.

» » » Since 2002, dozens of benchmark indexes that use index options have been introduced. This study analyzes the performance of five indexes above. The BXM Index was the first major options-based benchmark index offered, and is probably the best known of all options-based benchmark indexes. 5 ©2019 Wilshire Associates. MARKET INDEXES Exhibit 1b

INDEX NAME* DESCRIPTION

Measures the performance of all U.S. equity securities with readily available price data Wilshire 5000® Index (including large-cap, mid-cap, small-cap and some micro-cap stocks).

Represents the performance in USD of large- and mid-cap stocks across 21 developed MSCI EAFE® (US$) Index markets covering countries in Europe, Australasia and the Far East, excluding the U.S. and Canada.

Tracks the performance of USD-denominated, fixed-rate U.S. Treasury securities, U.S. Bloomberg Barclays Agency securities, investment grade MBS and ABS, and investment grade corporate U.S. Aggregate Bond Index bonds and taxable municipal bonds with maturities > 1 year.

Bloomberg Barclays Tracks the performance of USD-denominated, fixed-rate U.S. Treasury securities U.S. Treasury Index (excluding TIPS) - a component of the Aggregate index.

A broad-based, production-weighted index representing the global commodity markets, S&P GSCI® constructed from the most liquid commodity futures.

*Unless otherwise noted, all indexes used in this presentation are Total Return indexes.

» » » In addition to the S&P 500® index, which represents the performance of Large-Cap U.S. equities, the analysis includes the above indexes. These reflect other key asset classes that form a typical investor’s opportunity set.

$30 $23.65 - Cboe S&P 500 30-Delta BuyWrite Index (BXMD)

$20.85 - S&P 500 $25 $19.83 - Wilshire 5000

$20 $19.35 - Cboe S&P 500 PutWrite Index (PUT)

$17.48 - Cboe S&P 500 Covered Combo Index (CMBO) $15 $14.19 - Cboe S&P 500 BuyWrite Index (BXM) $10 $8.08 - Cboe S&P 500 5% Put Protection Index (PPUT) $6.91 - Bloomberg Barclays US Aggregate Bond Index $5 $6.57 - MSCI EAFE (US$) $- $2.82 - S&P GSCI Jun-86 Jun-90 Jun-94 Jun-98 Jun-02 Jun-06 Jun-10 Jun-14 Jun-18 Returns Across Various Market Environments Select Years from 1998 – 2018

1998 2000 2001 2002 2007 2008 2009 2012 2016 2018 22.4% 0.1% -8.9% -13.2% 6.2% -31.3% 43.4% 11.0% 12.4% -5.4% Cboe S&P 500 30-Delta BuyWrite Index (BXMD) Cboe S&P 500 30-Delta BuyWrite Index (BXMD) 18.5% 13.1% -10.6% -8.6% 9.5% -26.8% 31.5% 8.1% 7.8% -5.9% Cboe S&P 500 PutWrite Index (PUT) 28.6% -9.1% -11.9% -22.1% 5.5% -37.0% 26.5% 16.0% 12.0% -4.4% S&P 500 Index

» » » Over much of the past 32 years, in both up and down markets, two option-based indexes that sell options (BXMD and PUT) achieved higher returns than the US Equity market (large cap and total market), and higher than the option index that buys options (PPUT). The BXMD and PUT indexes outperformed in bear markets. Past performance is not predictive of future returns. Source[s]: Bloomberg, Cboe, St. Louis Federal Reserve Bank and Wilshire Associates. Please read important disclosures on Slide 28 and at www.cboe.com/benchmarks. 7 ©2019 Wilshire Associates. ASSET CLASS RELATIVE PERFORMANCE Exhibit 3

2001 2002 2003 2004 2005 2006 2007 2008 2009 2010 2011 2012 2013 2014 2015 2016 2017 2018

Cboe S&P 500 BuyWrite -10.9% -7.6% 19.4% 8.3% 4.2% 13.3% 6.6% -28.7% 25.9% 5.9% 5.7% 5.2% 13.3% 5.6% 5.2% 7.1% 13.0% -4.8% Index (BXM)

Cboe S&P 500 30-Delta -8.9% -13.2% 25.9% 10.4% 5.0% 17.8% 6.2% -31.3% 32.1% 11.2% 7.3% 11.0% 19.1% 6.2% 4.0% 8.4% 16.1% -5.4% BuyWrite Index (BXMD)

Cboe S&P 500 -10.6% -8.6% 21.8% 9.5% 6.7% 15.2% 9.5% -26.8% 31.5% 9.0% 6.2% 8.1% 12.3% 6.4% 6.4% 7.8% 10.8% -5.9% PutWrite Index (PUT)

Cboe S&P 500 Covered -10.7% -8.8% 22.4% 9.5% 4.4% 14.1% 5.5% -30.2% 28.5% 7.7% 6.4% 7.5% 16.4% 5.5% 4.3% 7.9% 15.4% -4.9% Combo Index (CMBO)

Cboe S&P 500 5% Put -2.1% -17.6% 19.3% 6.0% 2.3% 12.3% -0.5% -20.1% 8.7% 11.7% -1.4% 10.0% 27.1% 11.2% -5.1% 8.3% 18.6% -3.7% Protection Index (PPUT)

S&P 500 Index -11.9% -22.1% 28.7% 10.9% 4.9% 15.8% 5.5% -37.0% 26.5% 15.1% 2.1% 16.0% 32.4% 13.7% 1.4% 12.0% 21.8% -4.4%

MSCI EAFE (US$) -21.4% -15.9% 38.6% 20.2% 13.5% 26.3% 11.2% -43.4% 31.8% 7.8% -12.1% 17.3% 22.8% -4.9% -0.8% 1.0% 25.0% -13.8%

Bloomberg Barclays 8.4% 10.3% 4.1% 4.3% 2.4% 4.3% 7.0% 5.2% 5.9% 6.5% 7.8% 4.2% -2.0% 6.0% 0.5% 2.6% 3.5% 0.0% US Aggregate Bond Index

Bloomberg Barclays 6.7% 11.8% 2.2% 3.5% 2.8% 3.1% 9.0% 13.7% -3.6% 5.9% 9.8% 2.0% -2.7% 5.1% 0.8% 1.0% 2.3% 0.9% US Treasury Index

S&P GSCI Index -31.9% 32.1% 20.7% 17.3% 25.6% -15.1% 32.7% -46.5% 13.5% 9.0% -1.2% 0.1% -1.2% -33.1% -32.9% 11.4% 5.8% -13.8%

Lowest Return 1 2 3 4 5 6 7 8 9 10 Highest Return » » » Colors in this heat map rank returns across asset class, by year (within each column). Across market environments (strongly positive, negative and moderate), option-writing strategies, particularly BXMD and PUT strategies, typically had above-average returns and were rarely among lower-performing asset classes. BXMD and PUT strategies frequently offered one of the highest returns of the ten asset classes studied and were never among the bottom three. Past performance is not predictive of future returns. Source[s]: Bloomberg, Cboe, St. Louis Federal Reserve Bank and Wilshire Associates. Please read important disclosures on Slide 28 and at www.cboe.com/benchmarks. 8 ©2019 Wilshire Associates. RETURNS AND VOLATILITY Exhibit 4 Annualized Returns and Standard Deviations June 30, 1986 - December 31, 2018

10.2% Cboe S&P 500 30-Delta BuyWrite Index (BXMD) 12.8% 9.8% S&P 500 Index 14.9% 9.6% Wilshire 5000 Total Market Index 15.1% 9.5% Cboe S&P 500 PutWrite Index (PUT) 9.9% 9.2% Cboe S&P 500 Covered Combo Index (CMBO) 10.9% 8.5% Cboe S&P 500 BuyWrite Index (BXM) 10.6% 6.6% Cboe S&P 500 5% Put Protection Index (PPUT) 12.1% 6.1% Bloomberg Barclays US Aggregate Index 3.8% 6.0% MSCI EAFE (US$) Index 17.0% 3.2% S&P GSCI 20.3% 0% 3% 6% 9% 12% 15% 18% 21% Annualized Return Standard Deviation

» » » Over 32 years, the volatility of all five option-based indexes was lower than for the equity and commodity indexes; only bond market index volatility was lower. The PUT, BXM and CMBO Indexes, which write at-the-money (ATM) options, were the least volatile of the equity-based indexes. Even with their relatively low volatilities, option-writing strategies delivered strong returns over this period. The BXMD had the highest annualized returns across all indexes, which represent a wide spectrum of asset classes.

Past performance is not predictive of future returns. Source[s]: Bloomberg, Cboe, St. Louis Federal Reserve Bank and Wilshire Associates. Please read important disclosures on Slide 28 and at www.cboe.com/benchmarks. 9 ©2019 Wilshire Associates. EFFICIENT FRONTIER Exhibit 5 Efficient Frontier June 30, 1986 – December 31, 2018 14% BXMD 12% S&P 500 CMBO 10% US Aggregate Index PUT Wilshire 5000 8% MSCI EAFE 6% BXM PPUT 4% US Treasury Index S&P GSCI Annualized Returns Annualized 2%

0% 0% 5% 10% 15% 20% 25% Standard Deviation

BXMD - Cboe S&P 500 30-Delta BuyWrite Index CMBO - Cboe S&P 500 Covered Combo Index BXM - Cboe S&P 500 BuyWrite Index PPUT - Cboe S&P 500 5% Put Protection Index PUT - Cboe S&P 500 PutWrite Index

» » » The BXMD index is highest on the efficient frontier, showing risk/return trade-offs between all indexes in this study.

Maximum Drawdowns June 30, 1986 - December 31, 2018

-35.53% Cboe S&P 500 PutWrite Index (PUT) -35.81% Cboe S&P 500 BuyWrite Index (BXM) -38.13% Cboe S&P 500 Covered Combo Index (CMBO) -38.92% Cboe S&P 500 5% Put Protection Index (PPUT) -42.73% Cboe S&P 500 30-Delta BuyWrite Index (BXMD) -50.95% S&P 500 -50.95% Wilshire 5000 Total Market -56.68% MSCI EAFE (US$) -80.90% S&P GSCI -90.0% -80.0% -70.0% -60.0% -50.0% -40.0% -30.0% -20.0% -10.0% 0.0%

Cboe S&P 500 Cboe S&P 500 Cboe S&P 500 Cboe S&P 500 Cboe S&P 500 Wilshire MSCI EAFE BuyWrite 30-Delta PutWrite Covered 5% Put 5000 Total S&P GSCI S&P 500 (US$) Index BuyWrite Index Combo Index Protection Market Index Index (BXM) Index (BXMD) (PUT) (CMBO) Index (PPUT) Index

Max. Drawdown -35.81% -42.73% -35.53% -38.13% -38.92% -50.95% -50.95% -56.68% -80.90% Max. Drawdown Begin Date Jun-08 Nov-07 Jun-08 Nov-07 Jun-07 Nov-07 Nov-07 Nov-07 Jul-08 Max. Drawdown End Date Feb-09 Feb-09 Feb-09 Feb-09 Feb-09 Feb-09 Feb-09 Feb-09 Feb-16 Max. Drawdown Length 9 16 9 16 21 16 16 16 92 Max. Drawdown Recovery Date Dec-11 Jan-11 Nov-10 Apr-11 Jan-13 Mar-12 Mar-12 Jun-14 N/A

» » » Over 32 years, the worst peak-to-trough drawdowns were considerably smaller for option-based indexes than for equity market indexes. PUT and BXM index max drawdown periods were short-lived.

Past performance is not predictive of future returns. Source[s]: Bloomberg, Cboe, St. Louis Federal Reserve Bank and Wilshire Associates. Please read important disclosures on Slide 28 and at www.cboe.com/benchmarks. 11 ©2019 Wilshire Associates. ANNUAL ALPHA Exhibit 7 Annual Alpha Versus S&P 500 June 30, 1986 – December 31, 2018

1.25% 1.00% 0.75% 0.50% 0.25% 0.00% -0.25% -0.50% -0.75% -1.00%

-1.25%

2004 1987 1988 1989 1990 1991 1992 1993 1994 1995 1996 1997 1998 1999 2000 2001 2002 2003 2005 2006 2007 2008 2009 2010 2011 2012 2013 2014 2015 2016 2017 2018

Cboe S&P 500 BuyWrite (BXM) Cboe S&P 500 30-Delta BuyWrite Index (BXMD) Cboe S&P 500 PutWrite Index (PUT) Cboe S&P 500 Covered Combo Index (CMBO) Cboe S&P 500 5% Put Protection Index (PPUT)

12-month Correlations Versus S&P 500 June 30, 1986 – December 31, 2018

1.00 0.90 0.80 0.70 0.60 0.50

0.40

1987 1988 1989 1990 1991 1992 1993 1994 1995 1996 1997 1998 1999 2000 2001 2002 2003 2004 2005 2006 2007 2008 2009 2010 2011 2012 2013 2014 2015 2016 2017 2018

BXM BXMD PUT CMBO PPUT

» » » Option-writing strategies included in the analysis delivered positive alpha in most of the 32 years covered by the study, while offering exposure strongly linked to the S&P 500® and correlations averaging > 0.89 across strategies.

Cboe S&P Cboe S&P Cboe S&P Cboe S&P Cboe S&P Bloomberg Wilshire 5000 500 BuyWrite 500 30-Delta 500 PutWrite 500 Covered 500 5% Put S&P 500 MSCI EAFE S&P GSCI Barclays US Total Market Index BuyWrite Index Combo Index Protection Index (USD) Index Index Aggregate Index (BXM) Index (BXMD) (PUT) (CMBO) Index (PPUT) Bond Index

Annualized Return 8.50% 10.22% 9.54% 9.20% 6.64% 9.80% 9.63% 5.96% 3.24% 6.13% Annualized Std. Dev. 10.6% 12.8% 9.9% 10.9% 12.1% 14.9% 15.1% 17.0% 20.3% 3.8% Auto-correlation 0.08 0.04 0.13 0.05 -0.04 0.04 0.07 0.07 0.19 0.08 Maximum Drawdown -35.8% -42.7% -35.5% -38.1% -38.9% -50.9% -51.0% -56.7% -80.9% -5.1% Skew -1.56 -1.11 -2.10 -1.53 -0.28 -0.81 -0.94 -0.40 -0.21 -0.11 Kurtosis 6.40 3.91 9.72 5.87 0.54 2.53 2.94 1.03 2.00 0.62 Annual Alpha 0.25% 0.25% 0.38% 0.25% -0.29% 0.00% 0.01% -0.09% 0.10% 0.18% Beta 0.55 0.77 0.47 0.61 0.84 1.00 1.00 0.82 0.17 0.05 Sharpe Ratio (Annual) 0.51 0.55 0.64 0.55 0.29 0.45 0.43 0.17 0.00 0.78 Sortino Ratio (Annual)* 0.40 0.49 0.43 0.44 0.32 0.42 0.41 0.23 0.10 0.77 Stutzer Index 0.22 0.19 0.20 0.19 0.14 0.17 0.17 0.12 0.11 0.20 Correlation vs. S&P 500 0.89 0.95 0.84 0.91 0.92 1.00 0.99 0.70 0.17 0.11 # of Up months 278 262 297 277 236 257 226 218 267 249 # of Down months 112 128 93 113 154 133 164 172 123 141 * MAR = prevailing 3-month T-bill rate

» » » All three option-writing strategies (BXM, BXMD and PUT) provided a superior risk/return profile versus the S&P 500® over the past 32+ years, measured by their Sharpe ratios. Capturing premiums from call option writing dampened return volatility versus the S&P 500, although the lower upside from writing ATM calls reduced returns for the BXM. The BXMD had a higher return and lower volatility than the S&P 500 over the period. The PUT strategy’s return was close to the S&P 500’s, with significantly lower volatility. Although returns for the option-based strategies are more negatively skewed with fatter tails (higher kurtosis) than S&P 500 returns, Stutzer index values (which penalize both negative skew and excess kurtosis), and Sortino ratios calculated from downside returns are favorable for option-writing strategies. All option-writing strategies also have more ‘Up’ and fewer ‘Down’ monthly returns than the S&P 500.

Past performance is not predictive of future returns. Source[s]: Bloomberg, Cboe, St. Louis Federal Reserve Bank and Wilshire Associates. Please read important disclosures on Slide 28 and at www.cboe.com/benchmarks. 13 ©2019 Wilshire Associates. IMPLIED VOLATILITY RISK PREMIUM (IVRP) Exhibit 9a Average Implied Volatility (VIX) Minus 30-day S&P 500 Realized Volatility

Yearly Average of VIX Index Yearly Average of VIX Index Minus 30-day Realized Volatility 10 35 Enron & Sept. 11 WorldCom 7.2 30 8 6.5 6.2 5.7 5.5 5.8 4.9 3.9 25 5 4.3 4.5 3.2 2.7 3.0 2.7 20 2.4 Lehman 3 1.6 1.2 0.9 collapse 1.3

0.3 15

2005 2018 1999 2000 2001 2002 2003 2004 2006 2007 2008 2009 2010 2011 2012 2013 2014 2015 2016 2017 0 1998 10 -3 Dot-com bubble Greek debt crisis China's stock 5 market crash -5 -4.0 0

1990 1991 1992 1993 1994 1995 1996 1997 1998 1999 2000 2001 2002 2003 2004 Average VIX 23.0 18.4 15.5 12.7 13.9 12.4 16.4 22.4 25.6 24.4 23.3 25.7 27.3 22.0 15.5 30-day Realized 16.1 13.7 9.6 8.7 9.8 8.3 11.7 18.2 19.1 18.7 22.1 20.2 25.7 15.7 11.2 Implied/Realized 143% 135% 161% 147% 143% 150% 140% 123% 134% 131% 105% 127% 106% 140% 138%

2005 2006 2007 2008 2009 2010 2011 2012 2013 2014 2015 2016 2017 2018 Average Average VIX 12.8 12.8 17.5 32.7 31.5 22.5 24.2 17.8 14.2 14.2 16.7 15.8 11.1 16.6 19.3 30-day Realized 10.4 9.6 16.6 36.7 24.2 16.7 21.6 12.9 11.2 11.5 15.4 11.3 7.2 16.3 15.5 Implied/Realized 123% 133% 106% 89% 130% 135% 112% 139% 127% 124% 108% 140% 154% 102% 129%

» » » Implied volatility (measured by the VIX) usually exceeds realized volatility for the S&P 500. This suggests writing covered calls will often be profitable, as option premiums increase with implied volatility but the likelihood of call exercise is a function of realized volatility. Whether implied volatility (VIX) is above or below average, it exceeds realized volatility almost all of the time.

» » » The implied volatility risk premium Growth of $1 Since Mid-1986 June 30, 1986 - December 31, 2018

(IVRP) facilitated strong performance for two indexes ) $30 $23.65 - BXMD - Cboe S&P 500 tax

- 30-Delta BuyWrite Index option-selling indexes (BXMD and CMBO) $25 when compared to the PPUT option-buying $20 index. $15 $17.48 - CMBO - Cboe S&P 500 Covered Combo Index

to $1on toJune 1986 30, $10 Higher Returns: Since mid-1986, the returns

scaled $5 the BXMD and CMBO indexes were higher -

re $8.08 - PPUT - Cboe S&P 500 endvalues totalreturn(prefor than the PPUT Index in aggregate by more - $- 5% Put Protection Index Jun-86 Jun-92 Jun-98 Jun-04 Jun-10 Jun-16 than twice as much (see top chart). While Month CMBO outperformed PPUT 59% of the time, Sources: Bloomberg and Cboe Exchange, Inc. Past performance is not predictive of future returns. Actual returns for investors may differ from those of indexes. BXMD outperformed PPUT in 66% of all 390-Month Analysis of 2 Indexes 390-Month Analysis of 2 Indexes instances (see pie charts). # Months Each Had Higher Return # Months Each Had Higher Return June 30, 1986 - December 31, 2018 June 30, 1986 - December 31, 2018 Strong Outperformance: Since mid-1986, the CMBO and BXMD indexes had higher 132 161 risk-adjusted returns than the PPUT and S&P 258 PPUT 229 PPUT indexes (see Columns 3-5, Table below). BXMD CMBO

Metrics for 6 Benchmark Indexes June 30, 1986 - December 31, 2018 Annualized Standard Sharpe Sortino Stutzer Maximum Correlation vs. Beta vs. Return Deviation Ratio Ratio Index Drawdown S&P 500 S&P 500 Skewness Cboe S&P 500 30-Delta BuyWrite Index (BXMD) 10.2% 12.8% 0.80 0.40 0.19 -42.73% 0.95 0.82 -1.11 Cboe S&P 500 Covered Combo Index (CMBO) 9.2% 10.9% 0.84 0.44 0.19 -38.13% 0.91 0.67 -1.53 Cboe S&P 500 5% Put Protection Index (PPUT) 6.6% 12.1% 0.55 0.32 0.14 -38.92% 0.92 0.75 -0.28 S&P 500 Index 9.8% 14.9% 0.66 0.42 0.17 -50.95% 1.00 1.00 -0.81 Past performance is not predictive of future returns. Source[s]: Bloomberg, Cboe, St. Louis Federal Reserve Bank and Wilshire Associates. Please read important disclosures on Slide 28 and at www.cboe.com/benchmarks. 15 ©2019 Wilshire Associates. I V R P – OPTION - SELLING INDEXES ALSO OUTPERFORMED SIZE & STYLE INDEXES Exhibit 9c

» » » IVRP had strong risk-adjusted Growth of $1 Since Mid-1986 June 30, 1986 - December 31, 2018

performance for two option-selling indexes indexes ) $30 $23.65 - Cboe S&P 500 30-Delta

tax BuyWrite Index (BXMD) (BXMD and CMBO) when compared with key - $25 size- and style-based indexes. $19.73 - Wilshire US Large-Cap Value $20

Higher Returns: Since mid-1986, aggregate $15 $19.45 - Wilshire US Large-Cap Growth returns for BXMD has outperformed not only $1on toJune 1986 30, $10

$17.48 - Cboe S&P 500 Covered scaled

broad market indexes, but also size and style - $5 Combo Index (CMBO)

re endvalues totalreturn(prefor benchmarks including growth, value and - $- $20.07 - Wilshire US Small-Cap Jun-86 Jun-92 Jun-98 Jun-04 Jun-10 Jun-16 small-cap. Month Sources: Bloomberg and Cboe Exchange, Inc. Past performance is not predictive of future returns. Actual returns for investors may differ from those of indexes. Lower Volatility: Since mid-1986, CMBO 390-Month Analysis of 2 Indexes Sharpe Ratios had lower volatility than broad market # Months Each Had Higher Return indexes and each of the same size and style June 30, 1986 - December 31, 2018 benchmarks for growth, value and small-cap. 191 Wilshire Higher Risk-Adjusted Returns: Since mid- 199 US BXMD Large- 1986, both CMBO and BXMD had higher Cap Sharpe Ratios than broad market indexes Value and each of the size and style benchmarks noted (see Column 3, Table below,). Metrics for 6 Benchmark Indexes June 30, 1986 - December 31, 2018 Annualized Standard Sharpe Sortino Stutzer Max Correlation vs. Beta vs. Return Deviation Ratio Ratio Ratio Drawdown S&P 500 Market Skewness Cboe S&P 500 30-Delta BuyWrite Index (BXMD) 10.22% 12.83% 0.54 1.17 0.19 -42.73% 0.95 0.82 -1.11 Cboe S&P 500 Covered Combo Index (CMBO) 9.20% 10.91% 0.55 1.18 0.19 -38.13% 0.91 0.67 -1.53 S&P 500 Index 9.80% 14.90% 0.44 0.98 0.17 -50.95% 1.00 1.00 -0.81 Wilshire US Small-Cap 9.66% 18.93% 0.42 0.69 0.16 -54.35% 0.85 1.08 -0.78 Wilshire US Large-Cap Growth 9.56% 17.19% 0.44 0.72 0.16 -61.39% 0.96 1.11 -0.73 Wilshire US Large-Cap Value 9.61% 13.75% 0.52 0.85 0.17 -53.90% 0.95 0.88 -0.90 Past performance is not predictive of future returns. Source[s]: Bloomberg, Cboe, St. Louis Federal Reserve Bank and Wilshire Associates. Please read important disclosures on Slide 28 and at www.cboe.com/benchmarks. 16 ©2019 Wilshire Associates. I V R P – OPTION - SELLING INDEXES VS. S I Z E & STYLE INDEXES ACROSS REGIMES Exhibit 9d

Index Returns (Annualized) During Up and Down Market Regimes July 1986 - December 2018 Up Period Down Period Up Period Down Period Up Period Choppy All Months Jul. 1986 – Apr. 2000 - Oct. 2002 - Nov. 2007 - Mar. 2009 - Feb. 2018 - Jul. 1986 – Mar. 2000 Sep. 2002 Oct. 2007 Feb. 2009 Jan. 2018 Dec. 2018 Dec. 2018 Total Months per Period 165 30 61 16 107 11 390 Broad Stock Market Indexes S&P 500 Index 17.0% -20.6% 15.5% -41.4% 18.8% -10.4% 9.8% Wilshire 5000 Index 16.2% -20.6% 16.7% -41.1% 18.8% -11.0% 9.6% MSCI EAFE Index (US$) 10.9% -22.3% 24.1% -46.6% 12.1% -19.4% 6.0% Options-selling Indexes Cboe S&P 500 30-Delta BuyWrite Index (BXMD) 17.3% -14.6% 15.8% -34.2% 14.9% -7.5% 10.2% CMBO - Cboe S&P 500 Covered Combo Index (CMBO) 15.7% -11.8% 13.7% -30.2% 12.6% -6.9% 9.2% Options-buying Index PPUT - Cboe S&P 500 5% Put Protection Index (PPUT) 11.8% -14.9% 9.6% -30.3% 12.7% -9.4% 6.6% Small-cap Index Wilshire Small-Cap 13.0% -14.6% 20.9% -43.9% 20.5% -14.0% 9.7% Value Indexes Wilshire Large-Cap Value 14.3% -9.0% 17.0% -43.6% 17.6% -10.3% 9.6% Wilshire Small Cap-Value 11.6% 3.4% 19.0% -43.1% 19.8% -13.9% 10.4% Growth Indexes Wilshire Large-Cap Growth 18.6% -31.4% 15.0% -38.4% 19.7% -10.9% 9.6% Wilshire Small Cap-Growth 13.8% -30.1% 22.6% -44.5% 20.9% -14.2% 8.6% » » » BXMD outperformed the S&P 500 in 5 out of 6 of the displayed market regimes and the total broad U.S. stock market (measured by the Wilshire 5000) in 4 of the last 6 (all 3 down markets, and 1 of 3 up markets). Option-selling and option-buying indexes outperformed growth indexes in all down periods, and also outperformed value indexes in all down periods, with the exception of April 2000-Sept 2002. Across the full history of the study (mid 1986 – Dec. 2018), BXMD outperformed all size and style indexes, with the exception of small-cap value. Past performance is not predictive of future returns. Source[s]: Bloomberg, Cboe, St. Louis Federal Reserve Bank and Wilshire Associates. Please read important disclosures on Slide 28 and at www.cboe.com/benchmarks. 17 ©2019 Wilshire Associates. MONTHLY GROSS PREMIUMS RECEIVED Exhibit 10 Monthly Gross Premiums - BXM Index Gross amount* received as a % of the underlying 9.0% 8.1% 7.5% Average Gross Premium ≈ 1.7% per month 6.0% 4.5% 3.0% 1.5% 0.0%

60% 40% 20% 0% -20% -40%

Rolling 12-Month Gross Premiums-BXM Rolling 12-Month Net Return-BXM

» » » Monthly gross premiums as a % of the underlying increase during periods of high market volatility, but soon return to normal levels. The long-term trend line shows the monthly premium has been fairly constant over 32 years. While option writers capture option premiums, the total return from option strategies depends on many variables.

Notional Value of Average Daily Volume Exhibit 11 S&P 500 (SPX) Options ($Billions) January 2006 - December 2018 Even over periods of $600 low volatility, ADV $495 $508 $500 increased $400 $273 $300 $264 $154 $200 $121 $111 $100

Jul-06 Jul-07 Jul-08 Jul-09 Jul-10 Jul-11 Jul-12 Jul-13 Jul-14 Jul-15 Jul-16 Jul-17 Jul-18

Oct-06 Oct-07 Oct-08 Oct-09 Oct-10 Oct-11 Oct-12 Oct-13 Oct-14 Oct-15 Oct-16 Oct-17 Oct-18

Apr-06 Apr-07 Apr-08 Apr-09 Apr-10 Apr-11 Apr-12 Apr-13 Apr-14 Apr-15 Apr-16 Apr-17 Apr-18

Jan-06 Jan-07 Jan-08 Jan-09 Jan-10 Jan-11 Jan-12 Jan-13 Jan-14 Jan-15 Jan-16 Jan-17 Jan-18

Cboe Volatility Index (VIX) Daily Closing Values for Price Return Index January 2006 - December 2018 100 80 60 40 20

Jul-14 Jul-06 Jul-07 Jul-08 Jul-09 Jul-10 Jul-11 Jul-12 Jul-13 Jul-15 Jul-16 Jul-17 Jul-18

Oct-06 Oct-07 Oct-08 Oct-09 Oct-10 Oct-11 Oct-12 Oct-13 Oct-14 Oct-15 Oct-16 Oct-17 Oct-18

Apr-12 Jan-15 Jan-06 Apr-06 Jan-07 Apr-07 Jan-08 Apr-08 Jan-09 Apr-09 Jan-10 Apr-10 Jan-11 Apr-11 Jan-12 Jan-13 Apr-13 Jan-14 Apr-14 Apr-15 Jan-16 Apr-16 Jan-17 Apr-17 Jan-18 Apr-18 » » » Notional value of average monthly trading volume in SPX Options has grown significantly over the past 12 years; it was 17.2x greater in Q4 2018 versus Q1 2006. Trading volume shows SPX option liquidity is strong regardless of the level of the VIX, indicating market depth is sustained regardless of volatility spikes or lulls.

Past performance is not predictive of future returns. Source[s]: Source[s]: Bloomberg, St. Louis Federal Reserve Bank and Wilshire Associates. Please read important disclosures on Slide 28 and at www.cboe.com/benchmarks. 19 ©2019 Wilshire Associates. PERFORMANCE - VARIOUS MARKET REGIMES Exhibit 12 January 31, 1995 – December 30, 2018 (Monthly Returns)

Cboe S&P 500 Cboe S&P 500 Cboe S&P 500 Cboe S&P 500 Cboe S&P 500 Wilshire 5000 30-Delta 5% Put S&P 500 BuyWrite PutWrite Covered Combo Total Market BuyWrite Protection Index Index (BXM) Index (PUT) Index (CMBO) Index Index (BXMD) Index (PPUT)

High Returns/Moderate Vol: 1995-1999 Annualized Monthly Return 21.13% 26.61% 20.44% 21.57% 21.12% 29.79% 28.34% Annualized Standard Dev. 9.48% 12.11% 8.32% 9.93% 11.50% 13.95% 14.30% Sharpe Ratio 2.23 2.20 2.46 2.17 1.84 2.13 1.98 Skew -1.86 -1.47 -1.82 -1.95 -0.82 -1.38 -1.49

Low Returns (dot-com)/Moderate Vol: 2000-2006 Annualized Monthly Return 4.93% 5.36% 6.63% 5.27% 0.81% 2.16% 3.06% Annualized Standard Dev. 10.28% 12.76% 9.93% 10.71% 12.03% 14.32% 14.68% Sharpe Ratio 0.48 0.42 0.67 0.49 0.07 0.15 0.21 Skew -0.99 -0.39 -1.90 -0.83 -0.20 -0.27 -0.45

Financial Crisis Era: 2007-2009 Annualized Monthly Return -0.16% 0.59% 3.12% -0.45% -3.82% -3.72% -3.23% Annualized Standard Dev. 15.90% 18.81% 15.85% 16.62% 13.92% 19.91% 20.43% Sharpe Ratio -0.01 0.03 0.20 -0.03 -0.27 -0.19 -0.16 Skew -1.38 -0.97 -1.98 -1.25 -0.60 -0.75 -0.78

Bull market (excl. Q4 2018)/Low Vol: 2010-2018 Annualized Monthly Return 6.53% 9.01% 7.09% 7.66% 8.62% 12.59% 12.53% Annualized Standard Dev. 8.72% 10.20% 8.98% 9.17% 10.29% 12.52% 12.67% Sharpe Ratio 0.75 0.88 0.79 0.83 0.84 1.01 0.99 Skew -0.48 -0.30 -0.82 -0.68 -0.28 -0.38 -0.34 » » » During the recent lengthy bull market the S&P 500 dominated. However, in other market regimes, on an absolute and/or risk-adjusted basis, option-based indexes have offered superior return profiles.

June 30, 1986 – December 31, 2018 (Monthly Returns)

S&P 500 = 100% S&P500 Replaces » » » Compare the impact of replacing a + BXM = 85% S&P500 + 15% BXM 15% of percentage of a pension plan’s U.S. + BXMD = 85% S&P500 + 15% BXMD S&P 500 allocation equity allocation with an allocation to one + PUT = 85% S&P500 + 15% PUT or more option-writing strategies. with option + BXMD/PUT= 85% S&P500 + 10% BXMD + 5% PUT indexes.

» » » Replacing a portion of S&P 500 Performance Metrics – S&P 500 + Optional Index Allocation exposure with an option index can benefit S&P 500 + BXM + BXMD + PUT +BXMD/PUT performance while retaining ultra-high Avg Return 11.0% 10.7% 11.1% 10.9% 11.0% correlation to the S&P 500. For example, Std. Deviation 14.9% 14.1% 14.5% 14.0% 14.3% replacing 15% with BXMD or a combination of Sharpe Ratio 0.74 0.76 0.76 0.78 0.77 BXMD & PUT exceeded S&P 500-only Skew -0.81 -0.92 -0.88 -0.95 -0.90 monthly returns more than 50% of the time. Kurtosis 2.53 2.94 2.72 3.05 2.82

# of Months # of Up # of Down Correl. with » » » Modifying a traditional pension plan’s Allocation > S&P 500 Months Months S&P 500 U.S. equity allocation by writing OTM calls S&P 500 - 257 133 - (BXMD) and/or ATM puts (PUT) can result + BXM 188 257 133 0.999 in improved returns, upside/downside risk, + BXMD 238 256 134 0.999 and/or Sharpe ratios. + PUT 187 258 132 0.998 +BXMD/PUT 216 257 133 0.999

Past performance is not predictive of future returns. Source[s]: Bloomberg, Cboe, St. Louis Federal Reserve Bank and Wilshire Associates. Please read important disclosures on Slide 28 and at www.cboe.com/benchmarks. 21 ©2019 Wilshire Associates. OPTION - BASED FUNDS WITH 5 - YEAR HISTORY Exhibit 14 Results from 19 Mutual Funds & ETFs Using Option-based Strategies with 5-Year Return History 5-Year Performance Analysis (2014 - 2018) --- 5 Year Performance Metrics ------Calendar Year Returns --- Annualized Standard Sharpe 19 Options-based Funds 2014 2015 2016 2017 2018 Returns Deviations Ratios Average 2.4% 5.9% 0.27 3.9% 0.6% 4.1% 7.7% -4.1% Maximum 5.7% 9.6% 0.79 9.4% 7.1% 9.3% 13.3% 2.0% Minimum -0.7% 2.6% -0.57 -4.3% -5.0% -0.2% -1.3% -10.0%

Three Benchmark Indexes CBOE S&P 500 BuyWrite Index (BXM) 5.5% 7.3% 0.63 5.6% 5.2% 7.1% 13.0% -4.8% CBOE S&P 500 30-Delta BuyWrite Index (BXMD) 6.1% 8.7% 0.61 6.2% 4.0% 8.4% 16.1% -5.4% S&P 500 Index 9.3% 11.2% 0.75 13.7% 1.4% 12.0% 21.8% -4.4% Sources: Bloomberg and Cboe Exchange, Inc. » » » Dozens of Mutual Funds and ETFs use options as a key feature of their investment strategies. Typically, the stated objective of these funds is to capture the majority of equity market returns while taking less risk and/or generating additional income versus other equity investments, typically by writing covered calls. These statistics are based on 19 funds in this category with a five-year track record. Fund strategies in this category vary (i.e., some buy and/or write index options only, others use individual stock options; some write covered calls, others buy and/or write both puts and calls; some focus on large cap stocks, others on mid-cap; some employ a degree of active management, others include some leverage, etc.). Given this, their returns also vary. Annualized returns for these funds averaged 2.4% over the past 5 years, but ranged from - 0.7% to +5.7%. Notably, over the same 5 year time period, the average of the standard deviations for the 19 ETFs or mutual funds that used options was 5.9%, 47% lower than the 11.2% standard deviation for the S&P 500 Index.

Capital Markets forecasts for traditional asset classes and historical relationships between equity markets and options- based strategies are used to project plausible future return and risk measures for option-based indexes.

Cboe S&P 500 Cboe S&P 500 30- Cboe S&P 500 Cboe S&P 500 Cboe S&P 500 5% S&P 500 MSCI EAFE S&P GSCI BuyWrite Delta BuyWrite PutWrite Covered Combo Put Protection Index Index (US$) Index Index (BXM) Index (BXMD) Index (PUT) Index (CMBO) Index (PPUT) Forecasts (2019-2029)* Annualized Return 6.08% 7.30% 6.82% 6.57% 4.75% 7.00% 7.50% 4.35% Standard Deviation 11.7% 14.1% 11.8% 12.3% 13.9% 17.0% 18.8% 15.0% Sharpe Ratio 0.29 0.33 0.35 0.32 0.15 0.26 0.26 0.11 Historical measures Annualized Return 8.50% 10.22% 9.54% 9.20% 6.64% 9.80% 5.96% 3.24% Beta (past 32 years) 0.55 0.77 0.47 0.61 0.84 1.00 0.82 0.17 Beta (past 10 years) 0.56 0.73 0.54 0.64 0.83 1.00 0.92 0.73 Std. Dev. (32 years) 10.58% 12.83% 9.95% 10.91% 12.08% 14.93% 17.00% 20.26% Std. Dev. (10 years) 9.44% 11.40% 9.53% 9.97% 11.22% 13.73% 16.27% 19.33%

Capital Markets Assumptions » » » Although equity market returns are 10 Years Annualized (2019 – 2029) expected to be significantly lower over Develpd. Equity (ex. U.S.) 7.50% 18.80% 7.00% the next ten years versus historical U.S. Equity 17.00% 5.65% returns, these projections show that Real Estate (U.S.) 17.00% 4.35% option-writing strategies may offer Commodities 15.00% 3.85% superior risk/return profiles over the next Core Bonds (U.S.) 5.15% Cash 2.65% decade, with lower standard deviations 1.25% and higher Sharpe ratios than projected 0% 4% 8% 12% 16% 20% Expected Return Expected Std. Dev. for the U.S. equity market.

* Capital markets forecasts (2019-2029) for expected return and standard deviation provided by Wilshire Associates.

Cboe S&P 500 Cboe S&P 500 Cboe S&P 500 Cboe S&P 500 Cboe S&P 500 Bloomberg Bloomberg Wilshire S&P BuyWrite 30-Delta PutWrite Covered 5% Put S&P 500 MSCI EAFE Barclays Barclays Year 5000 GSCI Index BuyWrite Index Combo Index Protection Index Index (US$) US Aggregate US Treasury Index Index (BXM) Index (BXMD) (PUT) (CMBO) Index (PPUT) Bond Index Index

1987 -3.0% -0.2% -2.6% -0.7% 15.6% 5.3% 24.6% 2.3% 23.8% 2.8% 2.0% 1988 21.0% 22.8% 19.7% 22.1% 4.9% 16.6% 28.3% 17.9% 27.9% 7.9% 7.0% 1989 25.0% 32.7% 24.6% 27.9% 26.4% 31.7% 10.5% 29.2% 38.3% 14.5% 14.4% 1990 4.0% 3.9% 8.9% 5.8% -7.2% -3.1% -23.4% -6.2% 29.1% 9.0% 8.5% 1991 24.4% 23.5% 21.3% 24.0% 23.3% 30.5% 12.1% 34.2% -6.1% 16.0% 15.3% 1992 11.5% 10.8% 13.8% 12.4% 3.4% 7.6% -12.2% 9.0% 4.4% 7.4% 7.2% 1993 14.1% 11.1% 14.1% 12.9% 7.3% 10.1% 32.6% 11.3% -12.3% 9.7% 10.7% 1994 4.5% 5.5% 7.1% 5.6% -1.7% 1.3% 7.8% -0.1% 5.3% -2.9% -3.4% 1995 21.0% 32.9% 16.9% 23.3% 34.7% 37.6% 11.2% 36.4% 20.3% 18.5% 18.4% 1996 15.5% 19.2% 16.4% 17.7% 18.3% 23.0% 6.0% 21.2% 33.9% 3.6% 2.7% 1997 26.6% 33.7% 27.7% 27.2% 21.4% 33.4% 1.8% 31.3% -14.1% 9.7% 9.6% 1998 18.9% 22.4% 18.5% 17.9% 19.1% 28.6% 20.0% 23.4% -35.7% 8.7% 10.0% 1999 21.2% 21.2% 21.0% 19.1% 9.5% 21.0% 27.0% 23.6% 40.9% -0.8% -2.6% 2000 7.4% 0.1% 13.1% 6.0% -14.2% -9.1% -14.2% -10.9% 49.7% 11.6% 13.5% 2001 -10.9% -8.9% -10.6% -10.7% -2.1% -11.9% -21.4% -11.0% -31.9% 8.4% 6.7% 2002 -7.6% -13.2% -8.6% -8.8% -17.6% -22.1% -15.9% -20.9% 32.1% 10.3% 11.8%

2003 19.4% 25.9% 21.8% 22.4% 19.3% 28.7% 38.6% 31.6% 20.7% 4.1% 2.2% 2004 8.3% 10.4% 9.5% 9.5% 6.0% 10.9% 20.2% 12.6% 17.3% 4.3% 3.5% 2005 4.2% 5.0% 6.7% 4.4% 2.3% 4.9% 13.5% 6.3% 25.6% 2.4% 2.8% 2006 13.3% 17.8% 15.2% 14.1% 12.3% 15.8% 26.3% 15.9% -15.1% 4.3% 3.1% 2007 6.6% 6.2% 9.5% 5.5% -0.5% 5.5% 11.2% 5.7% 32.7% 7.0% 9.0% 2008 -28.7% -31.3% -26.8% -30.2% -20.1% -37.0% -43.4% -37.3% -46.5% 5.2% 13.7% 2009 25.9% 32.1% 31.5% 28.5% 8.7% 26.5% 31.8% 29.4% 13.5% 5.9% -3.6% 2010 5.9% 11.2% 9.0% 7.7% 11.7% 15.1% 7.8% 17.9% 9.0% 6.5% 5.9% 2011 5.7% 7.3% 6.2% 6.4% -1.4% 2.1% -12.1% 0.6% -1.2% 7.8% 9.8% 2012 5.2% 11.0% 8.1% 7.5% 10.0% 16.0% 17.3% 16.1% 0.1% 4.2% 2.0% 2013 13.3% 19.1% 12.3% 16.4% 27.1% 32.4% 22.8% 34.0% -1.2% -2.0% -2.7% 2014 5.6% 6.2% 6.4% 5.5% 11.2% 13.7% -4.9% 12.1% -33.1% 6.0% 5.1% 2015 5.2% 4.0% 6.4% 4.3% -5.1% 1.4% -0.8% -0.2% -32.9% 0.5% 0.8% 2016 7.1% 8.4% 7.8% 7.9% 8.3% 12.0% 1.0% 13.0% 11.4% 2.6% 1.0% 2017 13.0% 16.1% 10.8% 15.4% 18.6% 21.8% 25.0% 21.0% 5.8% 3.5% 2.3% 2018 -4.8% -5.4% -5.9% -4.9% -3.7% -4.4% -13.8% -5.3% -13.8% 0.0% 0.9%

• What is an option?: An instrument whose returns are dependent on the returns of some other, underlying security; and, a contract which provides the right, but not the obligation, to buy or sell the underlying security at a specified price, on or before a certain expiration date • There are a number of options for implementation ranging from rules-based strategies to more active strategies • What influences the value of an option?: Price of the underlying security, the option’s time to expiration and expected (implied) volatility – Option buyers pay a premium to the seller (or writer) of the option as compensation for underwriting financial risk • Option overlay strategies provide exposure to two risk premiums – Equity risk premium » Similar to the exposure provided by long-only public equity, albeit with a lower beta – Volatility risk premium » Transfers risk from options buyers to sellers, with insurance that tends to be richly priced » Potential source of diversification within the portfolio » Sources of volatility risk premium » Biases » Aversion to risk and a preference for more certainty the stock price falls, albeit a smaller loss than without the premium from the option overlay » Buying options limits the downside, and provides unlimited upside participation » Economic » Supply/demand imbalance as more investors are interested in buying, rather than selling options » Asymmetric payout profiles can make option selling less attractive to some investors; strategies will lag the broad market during extended rallies 26 ©2019 Wilshire Associates. APPENDIX B - OPTION OVERLAY CONCEPTS: BENEFITS, IMPLEMENTATION & PERFORMANCE

• Option overlay strategies have an attractive risk/return profile over time and can act as a strong complement to traditional long-only equity portfolios • There are many implementation options, ranging from rules-based strategies to more active strategies – Rules-based strategies follow a repeatable, well-defined process with no subjective positioning – Active strategies can also follow a rules-based process, but may use additional subjective elements based on sophisticated modeling techniques which attempt to optimize the payoff structure of the overlay positions – Both implementations are dynamic, rather than static, because old contracts expire and new ones initiated, which provides some protection against poor market timing decisions • General performance experience includes the following: – Outperforms a long-only position during periods where the security prices remain flat or fall in value, since the option will expire worthless – Faces a loss as the stock price falls, albeit a smaller loss than without the premium from the option overlay – Enjoys some of the upside until the stock prices passes the strike price of the option – Option strategies will lag the broad market during extended rallies

Cboe Exchange, Inc. (Cboe) provided financial support for the research of this paper.

Options involve risk and are not suitable for all investors. Prior to buying or selling an option, a person must receive a copy of Characteristics and Risks of Standardized Options. Copies are available from your broker, by calling 1-888-OPTIONS, or from The Options Clearing Corporation at www.theocc.com. The information in this paper is provided for general education and information purposes only. No statement within this paper should be construed as a recommendation to buy or sell a security or to provide investment advice. The BXM, BXMD, PUT, CMBO, and PPUT indexes (the “Indexes”) are designed to represent proposed hypothetical options strategies. The actual performance of investment vehicles such as mutual funds or managed accounts can have significant differences from the performance of the Indexes. Investors attempting to replicate the Indexes should discuss with their advisors possible timing and liquidity issues. Like many passive benchmarks, the Indexes do not take into account significant factors such as transaction costs and taxes. Transaction costs and taxes for strategies such as the Indexes could be significantly higher than transaction costs for a passive strategy of buying-and-holding stocks. Investors should consult their tax advisor as to how taxes affect the outcome of contemplated options transactions.

Past performance does not guarantee future results. This document contains index performance data based on back-testing, i.e., calculations of how the index might have performed prior to launch. Back-tested performance information is purely hypothetical and is provided in this paper solely for informational purposes. Back-tested performance does not represent actual performance and should not be interpreted as an indication of actual performance. No representation is being made that any investment will or is likely to achieve a performance record similar to that shown. It is not possible to invest directly in an index. Cboe calculates and disseminates the Indexes. Supporting documentation for any claims, comparisons, statistics or other technical data in this paper is available from Cboe upon request.

The methodology of Cboe indexes is owned by Cboe, Incorporated (Cboe) may be covered by one or more patents or pending patent applications. S&P®, and S&P 500® are registered trademarks of Standard & Poor’s Financial Services, LLC and are licensed for use by Cboe, Incoporated (Cboe) and Cboe Futures Exchange, LLC (CFE). Cboe’s financial products based on S&P indexes are not sponsored, endorsed, sold or promoted by S&P and S&P makes no representation regarding the advisability or investing in such products. Cboe Volatility Index®, VIX®, Cboe® and Chicago Board Options Exchange® are registered trademarks of Cboe, and BXM, the tickers for the Indexes are service markets of Cboe. MSCI, and the MSCI index names are service marks of MSCI Inc. or its affiliates and have been licensed for use by Cboe. All other trademarks and service marks are the property of their respective owners. The Indexes and all other information provided by Cboe and its affiliates and their respective directors, officers, employees, agents, representatives and third party providers of information (the “Parties”) in connection with the Indexes (collectively “Data”) are presented "as is" and without representations or warranties of any kind. The Parties shall not be liable for loss or damage, direct, indirect or consequential, arising from any use of the Data or action taken in reliance upon the Data. Redistribution, reproduction and/or photocopying in whole or in part are prohibited without the written permission of Cboe. 28 ©2019 Wilshire Associates. All Rights Reserved.